BANK OF CYPRUS EUR 3BN COVERED BOND PROGRAMME Report Date: 30/04/2018 Completion Date: 04/05/2018 CYPRIOT COVER POOL MONTHLY INVESTOR REPORT Series 1 Series 2 Series 3 Series 4 Series 5 Issue 650.000.000 Coupon EURIBOR 003M + 3.25% Coupon Payment Frequency Quarterly Coupon Payment Dates 12/3-12/6-12/9-12/12 Maturity Date 12/12/2018 Extension Period 12/12/2072 Rating Agencies Moody's/ Fitch Issue Rating Baa3/BBB ISIN XS0718673311 Primary Cover Pool Assets Cypriot Residential Mortgage Loans Bank of New York Mellon Corporate Trustee Trustee Services Ltd Account Bank Bank of New York Mellon Swap Counterparties
STATUTORY TESTS BASIC COVER Value Requirement PASS / FAIL Nominal Value Test Eligible Loans (adjusted for set off and LTV) plus interest accrued on the loans 924.046.223 Complementary Assets (in the basic cover) 0 Hedging Contracts (mark-to-market value) 0 Covered Bonds (outstanding amount) 650.000.000 Result 142,16% 100,00% PASS Net Present Value Test Eligible Loans (present value of inflows) 1.158.231.680 Covered Bond Holders (present value of payments) 665.843.750 Other Cover Pool Creditors (present value of payments) 64.125 Result 173,9% 105,0% PASS Stress scenarios: 1. Interest rate shift by -200bps Eligible Loans (present value of inflows) 1.203.455.791 Covered Bond Holders (present value of payments) 665.843.750 Other Cover Pool Creditors (present value of payments) 64.125 Result 180,7% 105,0% PASS 2. Interest rate shift by +200bps Eligible Loans (present value of inflows) 1.075.810.994 Covered Bond Holders (present value of payments) 662.837.452 Other Cover Pool Creditors (present value of payments) 63.650 Result 162,3% 105,0% PASS
3. VaR Negative shift in interest rates Eligible Loans (present value of inflows) 1.188.874.786 Covered Bond Holders (present value of payments) 665.843.750 Other Cover Pool Creditors (present value of payments) 64.125 Result 178,5% 105,0% PASS 4. VaR Positive shift in interest rates Eligible Loans (present value of inflows) 1.134.853.249 Covered Bond Holders (present value of payments) 665.843.750 Other Cover Pool Creditors (present value of payments) 64.125 Result 170,4% 105,0% PASS Weighted Maturity Test Weighted Average Life of Cover Pool assets in the basic and supervisory cover 9,00 Weighted average life of covered bonds 0,6 Result D(pool) > D(bond) PASS Liquidity Test Complementary Assets > highest net 1. if Maturity Date > 180 days outflow in the next 180 days Complementary Assets 33.662.241 Outflow in the next 180 days 4.855.428 2. if Maturity Date >30 days, <180 days Complementary Assets > highest net outflow until bond maturity (excl. 2a) First Test principal) Complementary/Liquid Assets >= 50% 2b) Second Test of Bond principal amount 3. if Maturity Date < 30 days Complementary Assets > highest net outflow until bond maturity (excl. 2a) First Test principal) Complementary/Liquid Assets >= 50% 2b) Second Test of Bond principal amount PASS SUPERVISORY OVER-COLLATERALISATION COVER POOL REQUIREMENT PASS / FAIL Complementary Assets 5,2% 5,0% PASS
COMMITTED OVERCOLLATERALISATION TEST COVER POOL REQUIREMENT PASS / FAIL Committed Overcollateralisation Requirement as per OC Notice 47,3% 47,0% PASS
COVER POOL INFORMATION Cover Pool Summary Total LOAN BALANCE: 1.002.289.891 Average LOAN BALANCE: 78.359 NO. OF LOANS: 12.791 WA SEASONING (in months): 84,8 WA REMAINING TERM (in months): 194,7 NO. OF BORROWERS: 13.960 NO. OF PROPERTIES: 10.247 WA LTV: 54,5% Loans to employees of group: 4,2% WA Interest Rate on Floating rate Loans: 3,0% WA MARGIN ON FLOATING RATE LOANS: 2,3% WA Interest Rate on Floating rate Loans originated over last quarter: 2,9% Percentage of VARIABLE MORTGAGES (based on bank s rates): 37,2% WA Interest Rate on Fixed rate Loans: 2,9% Borrower concentration: %age of largest 10 borrowers : 2,16% Loans in arrears > 90 days: Supervisory Over Collateralisation Supplementary Assets 33.662.241 Transaction Account Balance 22.033.944 Deducting for liquidity reserve (4.855.428) Net supplementary assets available for OC 50.840.757 Contractual Over Collateralisation Loan balances in excess of basic cover 352.289.891 Adjustment to Loan balances due to set-off 59.420.626 Adjustment to Loan balances due to LTV 18.823.042 Total Cover Pool OC (allowing for set-off and LTV) 274.046.223 As a % of Outstanding Cover Bond Issuance 42,2% Asset Percentage (Covered Bond Issuance as a % of Cover Assets) 70,3% TOTAL COMMITED OVER COLLATERALISATION In Basic Cover 42,2% In Supplementary Assets 5,2% Total 47,3% Cover Pool Indexed LTV Distribution Indexed LTV ranges Total Loan Balance No. of Borrowers 0-40% 285.937.569 6.262 >40%- 50% 141.243.613 1.788 >50%- 60% 141.931.653 1.606 >60%- 70% 156.186.618 1.602 >70%- 80% 126.922.522 1.295 >80%- 85% 48.941.619 448 >85%- 90% 43.610.946 413 >90%- 95% 36.814.607 342 >95%- 100% 20.700.745 204 >100%- 105% - -
>105% - - TOTAL 1.002.289.891 13.960
Cover Pool Regional Distribution Region Total Loan Balance % of total loan balance Nicosia 440.590.004 44,0% Limassol 316.728.059 31,6% Larnaca 107.687.792 10,7% Paphos 96.500.933 9,6% Ammochostos 40.783.103 4,1% No data Cover Pool Rate Type Distribution Rate Type Total Loan Balance % of total loan balance Floating rate 997.845.518 99,6% Fixed rate with reset <2 years 810.640 0,1% Fixed rate with reset 2 but < 5 years 331.228 Fixed rate with reset 5 years 3.302.505 0,3% Cover Pool Occupancy Type Distribution Occupancy Type Total Loan Balance % of total loan balance Owner-occupied 871.648.294 87,0% Non-owner-occupied (buy-to-let) where BORROWER has < 3 properties 51.577.553 5,1% Non-owner-occupied (buy-to-let) where BORROWER has > 2 properties - Vacation/ second home 79.064.045 7,9% Partially owner-occupied - Other/No data
Cover Pool Property Type Distribution Property Type Total Loan Balance % of total loan balance House 758.193.656 75,6% Flat in block with less than 4 units - Flat in block with 4 or more units 244.096.236 24,4% PARTIAL COMMERCIAL USE - Other/No data Cover Pool Loan Type Distribution Loan Type Total Loan Balance % of total loan balance Purchase 661.448.484 66,0% RE-MORTGAGE - EQUITY RELEASE 91.003.602 9,1% RENOVATION 227.422.786 22,7% Construction (new) - Other/No data 22.415.019 2,2% Cover Pool Seasoning Distribution Seasoning (months) Total Loan Balance % of total loan balance < 12 85.148.664 8,5% 12-<24 82.547.736 8,2% 24-<36 59.687.246 6,0% 36-<60 46.384.358 4,6% 60 728.521.887 72,7% Cover Pool Loans - Arrears Analysis Months Total Loan Balance % of total loan balance Not in Arrears 929.443.117 92,7% <2 (and not BPI or Fce) 68.753.944 6,9% 2-<6 (and not BPI or Fce) 4.092.831 0,4% 6-<12 (and not BPI or Fce) - >12 (and not BPI or Fce) - Bankruptcy proceedings initialted ("BPI") (and not Fce) - Foreclosure ("Fce") -